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Post-LIBOR Settle Update: 3M Benchmark Nears 14Y High

US EURODLR FUTURES

Lead quarterly Mar'23 (EDH3) trades -0.015 at 94.935 after 3M LIBOR set' gains +0.01343 to 4.76729% (+0.04176/wk) -- nearing 14Y high of 4.77857% tapped November 30.

  • Fed funds implied hike for Feb'23 at 33.2bp, Mar'23 cumulative 52.0bp to 4.852%, May'23 62.0bp to 4.952%, terminal at 4.955% in Jun'23.
  • Balance of Eurodollar Whites (EDM3-EDZ3) -0.025-0.030, Reds (EDH4-EDZ4) -0.030-0.015, Greens through Golds (EDH6-EDZ7) -0.015-0.025.
  • Current deferred spds vs. prior settle
    • Jun'23/Sep'23: currently steady at -0.095
    • Mar'23/Red Mar'24: -0.665 vs. -0.680
    • Jun'23/Red Jun'24: steady at -1.105
  • Thursday option roundup: Pick-up in FI option volumes Thursday, flow more mixed but leaning toward low delta calls, call spreads as underlying futures rebounded from midweek selling. Couple highlight trades:
    • +30,000 SFRZ3 96.50/97.50 call spds, 12.25-12.5
    • Block, 10,000 EDH3 95.00 calls vs. 95.00/96.06 put spds

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